Correlation Between Stepan and AMREP
Can any of the company-specific risk be diversified away by investing in both Stepan and AMREP at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Stepan and AMREP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Stepan Company and AMREP, you can compare the effects of market volatilities on Stepan and AMREP and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Stepan with a short position of AMREP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Stepan and AMREP.
Diversification Opportunities for Stepan and AMREP
Weak diversification
The 3 months correlation between Stepan and AMREP is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding Stepan Company and AMREP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AMREP and Stepan is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Stepan Company are associated (or correlated) with AMREP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AMREP has no effect on the direction of Stepan i.e., Stepan and AMREP go up and down completely randomly.
Pair Corralation between Stepan and AMREP
Considering the 90-day investment horizon Stepan Company is expected to under-perform the AMREP. But the stock apears to be less risky and, when comparing its historical volatility, Stepan Company is 1.62 times less risky than AMREP. The stock trades about -0.03 of its potential returns per unit of risk. The AMREP is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 1,101 in AMREP on September 2, 2024 and sell it today you would earn a total of 2,503 from holding AMREP or generate 227.34% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Stepan Company vs. AMREP
Performance |
| Timeline |
| Stepan Company |
| AMREP |
Stepan and AMREP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Stepan and AMREP
The main advantage of trading using opposite Stepan and AMREP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Stepan position performs unexpectedly, AMREP can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in AMREP will offset losses from the drop in AMREP's long position.| Stepan vs. Linde plc Ordinary | Stepan vs. Air Products and | Stepan vs. Aquagold International | Stepan vs. Thrivent High Yield |
| AMREP vs. Landsea Homes Corp | AMREP vs. Forestar Group | AMREP vs. Five Point Holdings | AMREP vs. American Realty Investors |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Other Complementary Tools
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios |